Leveraging the scripting language that allows pricing virtually any financial derivatives, this solver can for instance help to determine ATM strike level in any payoff. This can also be used to reverse engineer model parameters level to match counterparty prices on complex trades, or to determine some product characteristics to match a specific price on a given trade.
Eric Benhamou, CEO of Pricing Partners comments: âThis tool has been long awaited by our clients to give them the ability to structure trades seamlessly. This tool is now shipped in the March release. This should reinforce the added value of our solution to structure derivatives in pre-trade phase.â